Quant finance editor
Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division.
The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.
Mauro holds a degree in economics from the University of Trieste and a masters in quant finance from the University of Brescia.
Price adjustments will depend on individual counterparties’ carbon footprints
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Quant says high volatility requires pricing and risk management models to be revisited
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
MUFG Securities quant uses variational inference to control the mid volatility of options
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
Microsoft’s analog technology twice as accurate compared to IBM’s quantum kit in Barclays experiment
An optimised portfolio can look very different when extreme moves are given more weight
US schools cement top five dominance as graduate salaries soar
HSBC quant makes case for looking at collateral and funding rates in concert
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
Julius Baer equity quant revels in solving problems for the trading desk
Fidelity quants working on machine learning techniques to optimise investment strategies
But supervisors cautiously welcome next-gen model risk management
Two novel approximation techniques can overcome the curse of dimensionality
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
MUFG quant thinks outside the box on risk management
Alexandre Antonov, Adil Reghai and Andrey Itkin join unit at world’s third-largest wealth fund